The Effect of the spreads between earning yield and market interest rates on the stock market performance in the Jakarta stock exchange

NAINGGOLAN, Libert Tigor Pardamuan, Dr. Eduardus Tandelilin, MBA

2002 | Tesis | Magister Manajemen

Spread antara earning yield dan suku bunga pasar diasumsikan memiliki kemampuan untuk memprediksikan prestasi saham di pasar modal. Untuk menguji apakah spread diatas memiliki kemampuan prediksi terhadap prestasi saham di pasar modal, penulis melaksanakan beberapa tes statistik seperti analisis regresi berganda dan tes korelasi; dan beberapa observasi visual. Penulis menggunakan dua macam suku bunga pasar, yaitu suku bunga jangka panjang (untuk menghitung spread-panjang) dan suku bunga jangka pendek (untuk menghitung spread-pendek), untuk mengetahui spread mana yang memiliki kemampan prediksi yang lebih kuat. Studi ini mengambil data pada Bursa Efek Jakarta dari January 1993 sampai Juni 1997sesaat sebelum krisis moneter menghantam Indonesia. Data yang digunakan adalah data sekunder yang diperoleh dari Bursa Efek Jakarta dan Bank Indonesia. Hail studi ini menunjukkan bahwa spread antara earning yield dan suku bunga pasar bermanfaat di dalam prediksi prestasi saham di pasar modal. Lebih speslJik, spreadpendek memiliki kemampuan prediksi yang lebih kuat daripada kemampuan prediksi spread-panjang terhadap prestasi saham di masa yang akan datang.

The spread between earning yield and market interest rate is assumed to have the power to predict fkture stock market performance. To examine if the spread has the predictive power for the future stock market performance, the author conducts statistical tests such as multiple regression analysis and correlation test; and some visual observations. The author utilizes two kinds of interest rates, namely long-term interest rate (to have the spread-long) and short-term interest rate (to have the spread-short) in order to know which spread has a stronger predictive power. The research takes place in the Jakarta Stock Exchange, the biggest capital market in Indonesia, and is pefiomed from January 1993 up to June 1997, exactly before the monetary crisis hit Indonesia. The data are secondary data, taken from many sources such as the Jakarta Stock Exchange and Bank Indonesia. The study result indicates that the spread between earning yield and market interest rate is useful in predicting the fbture stock market performance. To be more specific, the spread-short has stronger predictive power than the predictive power of the spread-long to the future stock market performance

Kata Kunci : Saham, Pasar Modal, Earning Yield, earning yield; interest-long; interest-short; spread-long; spread-short.